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   european option pricing of fractional black-scholes model with new lagrange multipliers  
نویسنده mohebbi ghandehari mohammad ali ,ranjbar mojtaba
منبع computational methods for differential equations - 2014 - دوره : 2 - شماره : 1 - صفحه:1 -10
فایل تمام متن
چکیده    in this paper, a new identification of the lagrange multipliers by means of the sumudu transform,is employed to obtain a quick and accurate solution to the fractional black-scholes equation with theinitial condition for a european option pricing problem. undoubtedly this model is the most well knownmodel for pricing financial derivatives. the fractional derivatives is described in caputo sense. this methodfinds the analytical solution without any discretization or additive assumption. the analytical method hasbeen applied in the form of convergent power series with easily computable components. some illustrativeexamples are presented to explain the efficiency and simplicity of the proposed method.
کلیدواژه sumudu transforms ,fractional black- scholes equation ,european option pricing problem ,lagrange multipliers
آدرس azarbaijan shahid madani university, azarbijan shahid madani university, ایران, azarbaijan shahid madani university, azarbaijan shahid madani university, ایران
پست الکترونیکی m_ranjbar@azaruniv.edu

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